The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Çelik, Sibel

doi:10.1016/j.econmod.2012.06.011

Cited by 214 publications

(125 citation statements)

References 26 publications

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“…These are explored in section 5. 11 The MSCI World Index captures large and mid-cap representation across 23 Daily mean returns did not decrease in the crisis period compared to the pre-crisis period, as could be expected during a crisis (e.g. .…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

No contagion from Russia toward global equity markets after the 2014 international sanctions

Castagneto-Gissey

Nivorozhkin

2016

Economic Analysis and Policy

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This paper examines the possibility of financial contagion from the Russian stock market toward 18 global markets due to the international sanctions resulting from Russia's actions in Crimea. We develop a z-transform dynamic heteroskedastic procedure to determine the potential degrees of contagion and explore possible volatility spillovers. Among our main results, the Russian market substantially decoupled from the vast majority of world markets, irrespectively of the strength of economic ties between Russia and the corresponding countries. Yet, the crisis was characterized by large transmissions of volatility associated with the Russian market, particularly in emerging and frontier economies.JEL classification: F30, E30, C32, F42.

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%

No contagion from Russia toward global equity markets after the 2014 international sanctions

Castagneto-Gissey

Nivorozhkin

2016

Economic Analysis and Policy

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“…Contrary to studies that made use of the DCC GARCH model in assessing contagion between different countries (Celik, 2012;Chao and Parhizgani, 2008), this paper makes use of the VAR framework in the mean equation to account for possible endogeneity and interdependence of equity returns of BRICS economies. In addition, as stated earlier, this paper is the first to deal with the issue of contagion among the BRICS countries.…”

Section: Introductionmentioning

confidence: 99%

Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model

Bonga‐Bonga

2018

The Quarterly Review of Economics and Finance

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This paper assesses the extent of the transmission of financial shocks between South Africa and other members of the BRICS grouping in order to infer the degree of contagion during the period 1996-2012. The paper makes use of a multivariate VAR-DCC-GARCH model for this end. The paper finds evidence of cross-transmission and dependence between South Africa and Brazil. However, the empirical results show that South Africa is more affected by crises originating from China, India and Russia than these countries are by crises originating from South Africa. The findings of this paper should be of interest to policy makers in the BRICS grouping should they be considering the possibility of full capital market liberalization and to the international investor who is looking at diversifying portfolios in the BRICS grouping..

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“…4, Issue 1, 2016 ~ 31 ~ OECD countries had a negative impact on growth of the world economy. Celik (2012) found evidence of contagion during US sub-prime crisis for most of the developed and emerging countries. As such, we hypothesize that recent developments as a result of the financial crisis would have also affected the savings patterns in the developing Asian economies and so we control for the effect of the global financial crisis (GFC).…”

Section: The Expected Effects Are Rem (+); Dp (-); Wap (+); Urb (-); mentioning

confidence: 99%

Remittances and Savings in Asia: Some Empirical Evidence Based on the Life-Cycle Model

Gani

2016

JFE

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This study empirically examines the effect of remittances on private real savings for a sample of Asian economies using cross-country time-series data. Our findings consistently show that remittance inflows in Asian countries are positively and statistically significantly correlated with their private real savings. Our findings also reveal economic growth, real deposit interest rate and credit provided by the banking sector as other significant determinants of private real savings. Some policy implications are drawn. JEL Classifications: F24, O16, F21

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The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Cited by 214 publications

References 26 publications

No contagion from Russia toward global equity markets after the 2014 international sanctions

No contagion from Russia toward global equity markets after the 2014 international sanctions

Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model

Remittances and Savings in Asia: Some Empirical Evidence Based on the Life-Cycle Model

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